Generalized Autoregressive Score models

Before using any code, please read the disclaimer.

Ox code

  1. Computer code corresponding to Creal, Koopman, Lucas (2013): "Generalized Autoregressive Score Models with Applications", Journal of Applied Econometrics.
    Computer code: Ox code.

  2. Computer code corresponding to Creal, Schwaab, Koopman, Lucas (2013): "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Review of Economics and Statistics.
    Computer code: Ox code with macro data.

  3. GAS volatility program, Ox:
    Computer code: Ox code, example data and readme file.

  4. GAS duration program, Ox:
    Computer code: Ox code, example data and readme file.

R code

  1. GAS package R by David Ardia, Kris Boudt, and Leopoldo Catania.
    Computer code: R package GAS.
    The 'development' version is available from GitHub at
    Development code: Development R package GAS
    and will be updated more regularly then the one from CRAN.
    Vignette: "Generalized Autoregressive Score Models in R: The GAS Package".

  2. R package betategarch, v3.0:
    Computer code: R package betategarch.
    Vignette: "betategarch: An R Package for the Simulation and Estimation of Beta-skew-t-EGARCH Models".

  3. R package lgarch:
    Computer code: R package lgarch.
    Working paper: "Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns".

  4. R code for simulations plus estimation of HMM with time varying transition probabilities corresponding to Bazzi, Blasques, Koopman, Lucas (2016): "Time Varying Transition Probabilities for Markov Regime Switching Models", Journal of Time Series Analysis.
    Computer code by Marco Bazzi: R package HMM.
    ReadMe file: ReadMe.R.

Matlab code

  1. Computer code corresponding to Creal, Koopman, Lucas (2013): "Generalized Autoregressive Score Models with Applications", Journal of Applied Econometrics.
    Computer code: Matlab code.

  2. GAS volatility program, Matlab:
    Computer code: Matlab code, example data and readme file.